A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options

DOI10.1002/asmb.880zbMath1286.91138OpenAlexW2058829961MaRDI QIDQ5414507

Yansheng Ma, Yong Li

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.880

zbMATH Keywords

singular perturbationstochastic volatilityoption pricingtime scale

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
• Uniform asymptotic expansions for pricing European options
• Lookback options and dynamic fund protection under multiscale stochastic volatility
• Superreplication of European multiasset derivatives with bounded stochastic volatility
• Limit behavior of two-time-scale diffusions revisited
• Balanced Implicit Methods for Stiff Stochastic Systems
• Singular Perturbations in Option Pricing
• On Averaging Principles: An Asymptotic Expansion Approach
• Superreplication of Options on Several Underlying Assets
• Stochastic differential equations. An introduction with applications.

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